I will debug it in some mins, shouldnt be too hard to find out whats wrong.
You left out some DLLs needed for physx. I cant garuantee that mine are up to date but the project seems to work.
Just for your info: In a debugger you can easily see what happens. It was calling an empty pointer, by some reversing you can find out which export was called and which dll is needed. Heres the fixed project:
http://www.mediafire.com/download/2egzre18id1varr/main.cd.zip